Portfolio credit quality
A summary assessment of the reliability of the issuers held, usually expressed as a distribution across rating steps.
How to read the number
Look at the distribution rather than the average: a portfolio of strong names with one troubled position and a portfolio of uniformly mediocre names produce the same average step.
When the metric lies
The average step hides concentration. Several issuers from one industry deteriorate together, and a variety of names offers no protection against a sameness of risk.
Also known as: credit quality distribution